Question 1 (20 points) Use data of your stocks Let "today be May 12 2020. Assume we have a portfolio of these stocks. Choose the positions in stocks so that the weights are (roughly) equal and the total position is 15 MM. We assume that log returns of the stocks follow a joint multivariate normal distribution (linear method, VaR using covariance) Calculate: 1. One day 99 percent VaR VaR 2. One day 95 percent expected shortfall. Question 1 (20 points) Use data of your stocks Let "today be May 12 2020. Assume we have a portfolio of these stocks. Choose the positions in stocks so that the weights are (roughly) equal and the total position is 15 MM. We assume that log returns of the stocks follow a joint multivariate normal distribution (linear method, VaR using covariance) Calculate: 1. One day 99 percent VaR VaR 2. One day 95 percent expected shortfall